Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
-3.232%
Drawdown
0.000%
Expectancy
0
Net Profit
-0.018%
Sharpe Ratio
-9.165
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
-1.643
Annual Standard Deviation
0.002
Annual Variance
0
Information Ratio
-12.473
Tracking Error
0.002
Treynor Ratio
0.009
Total Fees
$2.00
 
class Algorithm(QCAlgorithm):
            
    def Initialize(self):
      
        self.SetStartDate(2018,10,1) 
        self.SetEndDate(2018,10,2)    
        self.SetCash(10000)           
        self.AddEquity("SPY", Resolution.Daily)
        self.AddEquity("VIXY", Resolution.Daily)

    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.MarketOrder("SPY", 10)
            self.MarketOrder("VIXY", 10)
        if self.Portfolio.Invested:
            holdings = [x.Key for x in self.Portfolio if x.Value.Invested]
            for i in holdings:
                self.Debug(str(i.Value) + " quantity "+ str(self.Portfolio[i].Quantity))